Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 6 | 7 | 5 |
| Score | -4.13 | -2.9 | -4.72 |
| Market Cap (Millions USD) | 48.31 | 44.51 | 44.84 |
| Predicted Beta | 1.05 | 1.04 | 1.12 |
| Idiosyncratic Volatility | 7.8 | 5.93 | 8.25 |
Annualized return and volatility
| JHMF | |
|---|---|
| Annualized Return | 0.1454 |
| Annualized Std Dev | 0.1652 |
| Annualized Sharpe (Rf=0%) | 0.8802 |
Row
Daily Return Statistics
| JHMF | |
|---|---|
| Observations | 1084.0000 |
| NAs | 4030.0000 |
| Minimum | -0.0533 |
| Quartile 1 | -0.0038 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0061 |
| Maximum | 0.0481 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0001 |
| Stdev | 0.0104 |
| Skewness | -0.4885 |
| Kurtosis | 3.4433 |
Downside Risk
| JHMF | |
|---|---|
| Semi Deviation | 0.0077 |
| Gain Deviation | 0.0068 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0074 |
| Downside Deviation (0%) | 0.0074 |
| Maximum Drawdown | 0.2469 |
| Historical VaR (95%) | -0.0173 |
| Historical ES (95%) | -0.0262 |
| Modified VaR (95%) | -0.0172 |
| Modified ES (95%) | -0.0297 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-01-29 | 2018-12-24 | 2019-07-05 | -0.2469 | 367 | 233 | 134 |
| 2015-11-09 | 2016-02-11 | 2016-11-09 | -0.2083 | 257 | 66 | 191 |
| 2019-07-29 | 2019-08-23 | 2019-11-01 | -0.0884 | 70 | 20 | 50 |
| 2017-03-02 | 2017-05-17 | 2017-07-03 | -0.0786 | 88 | 55 | 33 |
| 2017-08-07 | 2017-09-07 | 2017-09-26 | -0.0635 | 36 | 23 | 13 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | JHMF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2010 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2011 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2012 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2013 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2014 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2015 | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 | 0.0 | 0.0 | 0.0 | 0.2 |
| 2016 | 1.9 | 2.9 | 0.0 | 0.0 | 0.0 | 0.5 | -0.7 | 0.0 | 0.0 | -0.5 | 0.7 | 0.0 | 5.0 |
| 2017 | 0.2 | 2.6 | 0.0 | 1.2 | 1.0 | 0.0 | 0.5 | 0.8 | 0.0 | 0.0 | 0.1 | 0.0 | 6.5 |
| 2018 | 1.4 | -1.6 | 0.0 | -0.6 | 1.1 | 0.0 | 0.3 | 0.0 | 0.0 | 0.7 | 0.0 | 0.0 | 1.2 |
| 2019 | 0.7 | 0.6 | 2.3 | -0.9 | 0.0 | 1.1 | -2.2 | 0.0 | -2.1 | 1.4 | 0.0 | 0.1 | 1.0 |
Row
Rolling Performance Chart
Snail Trail Chart
